AQMIX vs. EEM
AQMIX (AQR Managed Futures Strategy Fund) and EEM (iShares MSCI Emerging Markets ETF) are both funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while EEM is a Emerging Markets Diversified fund tracking the MSCI Emerging Markets Index (Net). Over the past 10 years, AQMIX returned 4.69%/yr vs 9.91%/yr for EEM. At a 0.04 correlation, their price movements are largely independent. AQMIX charges 1.25%/yr vs 0.72%/yr for EEM.
Performance
AQMIX vs. EEM - Performance Comparison
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Returns By Period
In the year-to-date period, AQMIX achieves a 11.18% return, which is significantly lower than EEM's 24.07% return. Over the past 10 years, AQMIX has underperformed EEM with an annualized return of 4.69%, while EEM has yielded a comparatively higher 9.91% annualized return.
AQMIX
- 1D
- -0.37%
- 1M
- -1.94%
- YTD
- 11.18%
- 6M
- 13.01%
- 1Y
- 24.52%
- 3Y*
- 12.13%
- 5Y*
- 12.71%
- 10Y*
- 4.69%
EEM
- 1D
- 0.56%
- 1M
- 0.74%
- YTD
- 24.07%
- 6M
- 26.94%
- 1Y
- 47.57%
- 3Y*
- 21.60%
- 5Y*
- 6.56%
- 10Y*
- 9.91%
AQMIX vs. EEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 11.18% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
EEM iShares MSCI Emerging Markets ETF | 24.07% | 33.98% | 6.49% | 8.95% | -20.56% | -3.63% | 17.02% | 18.22% | -15.31% | 37.26% |
Correlation
The correlation between AQMIX and EEM is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.06 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010 | 0.04 |
The correlation between AQMIX and EEM shifts across timeframes, from -0.06 (5 years) to 0.22 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
AQMIX vs. EEM — Risk / Return Rank
AQMIX
EEM
AQMIX vs. EEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and iShares MSCI Emerging Markets ETF (EEM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AQMIX | EEM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.73 | ||
| Sortino ratioReturn per unit of downside risk | +1.13 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 1.40 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 8.20 | 3.36 | +4.84 |
| Martin ratioReturn relative to average drawdown | 26.10 | 12.38 | +13.72 |
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Drawdowns
AQMIX vs. EEM - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum EEM drawdown of -66.43%. Use the drawdown chart below to compare losses from any high point for AQMIX and EEM.
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Drawdown Indicators
| AQMIX | EEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -66.43% | +39.91% |
Max Drawdown (1Y)Largest decline over 1 year | -3.02% | -13.52% | +10.50% |
Max Drawdown (3Y)Largest decline over 3 years | -13.57% | -17.29% | +3.72% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -37.49% | +23.92% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -39.82% | +16.48% |
Current DrawdownCurrent decline from peak | -2.30% | -4.12% | +1.82% |
Average DrawdownAverage peak-to-trough decline | -9.99% | -16.00% | +6.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 3.67% | -2.73% |
Volatility
AQMIX vs. EEM - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.41%, while iShares MSCI Emerging Markets ETF (EEM) has a volatility of 10.80%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than EEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | EEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.41% | 10.80% | -8.39% |
Volatility (6M)Calculated over the trailing 6-month period | 6.72% | 19.39% | -12.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.74% | 21.64% | -12.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.62% | 19.26% | -7.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.37% | 20.64% | -10.27% |
AQMIX vs. EEM - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than EEM's 0.72% expense ratio.
Dividends
AQMIX vs. EEM - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.03%, more than EEM's 1.79% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.03% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
EEM iShares MSCI Emerging Markets ETF | 1.79% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
Frequently Asked Questions
AQMIX and EEM have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EEM has higher volatility (10.80%) compared to AQMIX (2.41%). In terms of maximum drawdown, AQMIX dropped -26.52% vs EEM's -66.43%.
AQMIX currently has the higher Sharpe Ratio (2.83 vs 2.10), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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